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Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach
| Content Provider | Semantic Scholar |
|---|---|
| Author | Chkili, Walid |
| Copyright Year | 2018 |
| Abstract | This paper uses the Markov switching approach to investigate the role of gold as a hedge or safe haven for Islamic stock market risk. Empirical results reveal on the one hand, the presence of two distinct regimes for all the considered markets namely a low volatility regime and a high volatility regime. More precisely, the high volatility regime coincides with the major economic and political events that occurred during the period under study. On the other hand, evidence shows that gold can act as a weak hedge and a strong safe haven against extreme Islamic stock market movements. This result has significant implications for portfolio diversification and hedging strategy choice. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://isiarticles.com/bundles/Article/pre/pdf/83335.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Diversification (finance) Haven (graph theory) Markov chain Movement Volatility |
| Content Type | Text |
| Resource Type | Article |
